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DERIVATIVE INSTRUMENTS - Offsetting of Derivative Assets and Liabilities (Details) - USD ($)
$ in Thousands
Jun. 30, 2023
Dec. 31, 2022
Assets    
Gross Amounts $ 457,119 $ 342,064 [1]
Liabilities    
Gross Amounts 156,182 204,172 [1]
Futures contracts, at fair value    
Assets    
Gross Amounts 139,108 33,179
Financial Instruments (24,822) (2,414)
Cash Collateral 0 0
Net Amounts 114,286 30,765
Liabilities    
Gross Amounts 37,049 11,919
Financial Instruments (24,822) (2,414)
Cash Collateral (12,227) (9,505)
Net Amounts 0 0
Other derivative liabilities 37,049 11,919
Futures contracts, at fair value | Secured Overnight Financing Rate (SOFR)    
Liabilities    
Other derivative liabilities 36,400  
Purchase commitments    
Assets    
Gross Amounts 2,119 1,832
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 2,119 1,832
Liabilities    
Gross Amounts 3,328 460
Financial Instruments 0 0
Cash Collateral 0 0
Net Amounts 3,328 460
Other derivative liabilities 3,328 460
Interest rate swaps, at fair value    
Assets    
Gross Amounts 30,026 33,006
Financial Instruments (23,168) (24,625)
Cash Collateral 0 0
Net Amounts 6,858 8,381
Liabilities    
Gross Amounts 96,618 108,724
Financial Instruments (57,398) (24,625)
Cash Collateral 0 (1,251)
Net Amounts 39,220 82,848
Interest rate swaptions, at fair value    
Assets    
Gross Amounts 264,406 256,991
Financial Instruments (113,023) 0
Cash Collateral (147,234) 0
Net Amounts 4,149 256,991
TBA derivatives, at fair value    
Assets    
Gross Amounts 21,460 17,056
Financial Instruments (1,699) (16,875)
Cash Collateral 0 0
Net Amounts 19,761 181
Liabilities    
Gross Amounts 19,187 69,270
Financial Instruments (16,480) (16,875)
Cash Collateral (1,761) 0
Net Amounts 946 52,395
Other derivative liabilities 19,187 69,270
Credit derivatives    
Liabilities    
Gross Amounts   13,799
Financial Instruments   0
Cash Collateral   (9,291)
Net Amounts   4,508
Other derivative liabilities $ 0 $ 13,799
[1] (1)Derived from the audited consolidated financial statements at December 31, 2022.